You can change the one on the Maven conf directory - it will apply to everyone using that PC who does not have an .m2/settings.xml file.
I used to change m2_home/conf/settings.xml, but have recently switched to using .m2/settings.xml for two reasons. First, when I upgrade to a newer version of Maven I get to keep my settings automatically (saves having to copy the file). But second, and most importantly, I typically use the exact same Maven install for both Linux and Windows and by having two .m2/settings.xml files I can set the local repository directory to the correct settings (d:/opt/m2_repo in Windows, /opt/m2_repo in Linux). (I even share the m2_repo directory between Windows and Linux so both directories are actually the same location.)